Weather in interiors. Mournhold is actually an interior that acts as an exterior so it has weather. Oblivion lacks this. Skyrim...well, Skyrim handles it differently.
Oblivion introduced separate worldspaces for exactly that purpose. It elevates that "interior acts as exterior" hack for Tribunal into a regularly used feature. Skyrim more or less uses that method, as well.
So it's not something that Oblivion lacks, it just handles it differently.